One dimensional parabolic free boundary problems

The method of lines is used to approximate explicit and implicit free boundary problems for a linear one dimensional diffusion equation with a sequence of free boundary problems for ordinary differential equations. It is shown that these equations have solutions which can be readily obtained with the method of invariant imbedding. It also is established for a model problem that the approximate solutions converge to a unique weak and (almost) classical solution as the discretization parameter goes to zero

Locally one dimensional numerical methods for multidimensional free surface problems

Issued as Progress reports [1-5], and Final fiscal report, Project no. G-37-60

Application of invariant imbedding to the estimation of process duration

AbstractThis work deals with the application of invariant imbedding to solve a particularly important design problem, namely, the duration of the process. A numerical example is used to illustrate the approach. The advantage of this approach is its straightforward nature and uses only the usual design data. It avoids any iterations and thus no convergence problems need to be considered

A dynamic programming approach to the formulation and solution of finite element equations

A method for formulating and algorithmically solving the equations of finite element problems is presented. The method starts with a parametric partition of the domain in juxtaposed strips that permits sweeping the whole region by a sequential addition (or removal) of adjacent strips. The solution of the difference equations constructed over that grid proceeds along with the addition removal of strips in a manner resembling the transfer matrix approach, except that different rules of composition that lead to numerically stable algorithms are used for the stiffness matrices of the strips. Dynamic programming and invariant imbedding ideas underlie the construction of such rules of composition. Among other features of interest, the present methodology provides to some extent the analyst's control over the type and quantity of data to be computed. In particular, the one-sweep method presented in Section 9, with no apparent counterpart in standard methods, appears to be very efficient insofar as time and storage is concerned. The paper ends with the presentation of a numerical exampl

Pricing American Interest Rate Options in a Heath-Jarrow-Morton Framework Using Method of Lines

We consider the pricing of American bond options in a Heath-Jarrow-Morton framework in which the forward rate volatility is a function of time to maturity and the instantaneous spot rate of interest. We have shown in Chiarella and El-Hassan (1996) that the resulting pricing partial differential operators are two dimensional in the spatial variables. In this paper we investigate an efficientnumerical method to solve there partial differential equations for American option prices and the corresponding free exercise surface. We consider in particular the method of lines which other investigators (eg Carr and Faguet (1994) and Van der Hoek and Meyer (1997)) have found to be efficient for American option pricing when there is one spatial variable. In extending this method for the two dimensional case, we solve the pricing equation by discretising the time variable and one state varialbe and using the spot rate of interest as a continuous variable. We compare our method with the lattice method of Li, Ritchken and Sankarasubramanian (1995).

Locally one dimensional numerical methods for multidimensional free surface problems

Issued as Progress reports no. [1-4], and Final report, Project no. G-37-61

Elementary proofs of Embedding Theorems for Potential Spaces of Radial Functions

We present elementary proofs of weighted embedding theorems for radial potential spaces and some generalizations of Ni's and Strauss' inequalities in this setting.Comment: 19 page